I was interviewing for ABS structure/hybrid role at boutique bank (I have good accounting transaction/modelling background and want to get on the origination/sales side) and it went well (or so I think, still waiting to hear back - heard from some of the team I followed up with - the standard thanks and good to meet you too replies).
One of the MDs I spoke with seemed convinced of my asset side and flow through liability side modelling capabilities, and asked if I knew how to price an ABS issuance based on the ratings - like the math behind it. I had to admit that I did not, but I do want to look in to it (figured this was the best answer and my idea is to send him an excel with a sample of what I found out, in case I am still being considered).
I actually remember a few years ago a former CMBS banker friend who was in accounting with me showing me the math process in Excel based on a new issue CMBS from a Commercial Mortgage Alert pricing sheet. Wish I hung on to it.
TLDR; Does anyone have an example spreadsheet or link to resource on web (without proprietary or client info) that shows some math behind the ABS/CMBS pricing based on credit enhancement/detachment levels and CRA ratings? Many thanks in advance!
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